Shuaiqi Zhang

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This paper deals with optimal dividend payment problem in the general setup of a piecewise-deterministic compound Poisson risk model. The objective of an insurance business under consideration is to maximize the expected discounted dividend payout up to the time of ruin. Both restricted and unrestricted payment schemes are considered. In the case of(More)
— This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman(More)
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